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"Studi ini menginvestigasi keberadaan unsur long memory pada proses volatilitas indeks saham (IHSG) dan nilai tukar Indonesia (IDR/USD) dengan menggunakan model Fractionally Integrated GARCH. Studi ini mencoba menjawab signifikansi penggunaan model berproses fractionally integrated ( Long Memory ) tersebut dalam permodelan volatilitas pasar keuangan Indonesia, khususnya dalam hal descriptive dan predictive performance, jika dibandingkan dengan proses model GARCH (short memory) dan IGARCH (infinite memory). Dalam hal descriptive performance, model yang mengakomodasi long memory terbukti menunjukkan nilai signifikansinya dibandingkan kedua model lainnya, namun hasilnya beragam dalam hal predictive performance. Penggunaan model long memory hanya terbukti signifikansinya dalam memprediksi dinamika IDR/USD, khususnya volatilitas harian jangka pendek (satu hari), dan estimasi VaR one-step-ahead return IDR/USD. Hasil prediksi volatilitas harian IDR/USD pada horison prediksi di atas satu hari dan juga hasil prediksi volatilitas harian IHSG di semua horison prediksi diungguli oleh kedua model lainnya. Selain itu, pada studi ini, ternyata tidak terdapat perbedaan akurasi yang dramatis antara model FIGARCH dengan model GARCH dan IGARCH dalam mengestimasi VaR one-step-ahead return IHSG.......This study investigates the presence of long memory in the volatility process of Indonesian stock index (IHSG) and IDR/USD using FIGARCH model. Furthermore, this study addresses the significance of accounting for long memory in improving the descriptive and predictive performance of a conditional variance model by comparing its performance with two other models associated with their knife-edge distinction of memory specifications, GARCH (short memory) and IGARCH (long memory). Long memory model proves to be superior in describing the dynamics of Indonesian stock index and foreign exchange market. Its significance, however, shows mixed results in the predictive performance where long memory model only shows its superiority in forecasting volatility of one-day-ahead IDR/USD and one-step-ahead VAR of IDR/USD. Integrating fractional integration in the conditional variance model does not appear to improve volatility forecasts accuracy for the five, ten and twenty days forecasting horizons of IDR/USD. Moreover, long memory model also does not provide better volatility foresasts at all horizons for IHSG as compared to short and infinite memory model. Meanwhile, the accuracy performance of estimating one-step-ahead VaR return of IHSG among the three estimated models cannot provide conclusive results despite the confirmed existence of long memory in its volatility process."

"[ABSTRAKbrSkripsi ini membahas hubungan interdependensi antara indeks saham konvensional dan syariah di Indonesia dan Malaysia dengan Indeks negara maju DJIA S P 500 FTSE 100 pada periode krisis dan pasca krisis serta membahas mengenai volatitasnya pada periode krisis Tujuan dari peneltian ini adalah untuk melihat apakah saham syariah tidak terpengaruh pergerakan indeks konvensional negara maju dan untuk melihat apakah indeks saham syariah memiliki volatilitas yang lebih rendah pada periode krisis Kesimpulan dari penelitian ini menemukan bahwa walaupun tidak terdapat kointegrasi antara indeks konvensional dan syariah dengan indeks negara maju hubungan interdependensi tetap terjadi diantara keduanya dan volatilitas indeks saham syariah menunjukkan volatilitas yang lebih kecil Dengan demikian meskipun indeks saham syariah tidak sepenuhnya terpisah dari pergerakan indeks konvensional negara maju indeks saham syariah mampu menjadi alternatif investasi yang memiliki risiko lebih rendah ;ABSTRACTThis research discusses the interdependence between conventional and Islamic stock index in Indonesia and Malaysia with developed country stock index DJIA S P 500 FTSE 100 in the period of crisis and post crisis and to discuss the volatility during the crisis period The purpose of this research is to see whether the movement of Islamic stock index is not affected by conventional developed country stock market movement and to see whether sharia stock index has lower volatility during the period of crisis The conclusion of this study found that although there is no cointegration between conventional and Islamic index in Indonesia and Malaysia with developed country stock index the relationship of interdependence still occurred between both of them and the volatility of sharia stock index is lower than the conventional stock index Thus although the sharia stock index is not completely decoupled from the negara maju conventional index movement sharia stock index can be seen as an alternative investment that has a lower risk ;ABSTRACTThis research discusses the interdependence between conventional and Islamic stock index in Indonesia and Malaysia with developed country stock index DJIA S P 500 FTSE 100 in the period of crisis and post crisis and to discuss the volatility during the crisis period The purpose of this research is to see whether the movement of Islamic stock index is not affected by conventional developed country stock market movement and to see whether sharia stock index has lower volatility during the period of crisis The conclusion of this study found that although there is no cointegration between conventional and Islamic index in Indonesia and Malaysia with developed country stock index the relationship of interdependence still occurred between both of them and the volatility of sharia stock index is lower than the conventional stock index Thus although the sharia stock index is not completely decoupled from the negara maju conventional index movement sharia stock index can be seen as an alternative investment that has a lower risk , ABSTRACTThis research discusses the interdependence between conventional and Islamic stock index in Indonesia and Malaysia with developed country stock index DJIA S P 500 FTSE 100 in the period of crisis and post crisis and to discuss the volatility during the crisis period The purpose of this research is to see whether the movement of Islamic stock index is not affected by conventional developed country stock market movement and to see whether sharia stock index has lower volatility during the period of crisis The conclusion of this study found that although there is no cointegration between conventional and Islamic index in Indonesia and Malaysia with developed country stock index the relationship of interdependence still occurred between both of them and the volatility of sharia stock index is lower than the conventional stock index Thus although the sharia stock index is not completely decoupled from the negara maju conventional index movement sharia stock index can be seen as an alternative investment that has a lower risk ]"